Premium of the sum from two risks dependent PQD or NQD - archimedean copulas application

Authors

  • César E. Escalante Coterio Delima Marsh
  • Carmen C. Sánchez Zuleta Universidad de Medellín

DOI:

https://doi.org/10.22395/rium.v13n25a10

Keywords:

Risk-dependent, Archimedean copulas, dependent risk premium, measures of dependence

Abstract

The premium of the sum of two risks X and Y with positive dependence PQD and NQD negative dependence and its impact is studied in this paper using copulas as the general structure that governs such dependence. We propose a demonstration of Hoeffding’s lemma and is used to calculate the variance of . X Y+ Various premium principles (variance, standard deviation, variance as amended) and most commonly used measures of dependence (  of Kendall, dependence on the tail) are propoused and used. Several numerical examples risks of dependence with some Archi­medean copulas are presented.

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Author Biographies

César E. Escalante Coterio, Delima Marsh

Consultor de Riesgos, MSc. Delima Marsh S.

Carmen C. Sánchez Zuleta, Universidad de Medellín

MSc. Matemáticas. Profesora investigadora, Universidad de Medellín

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How to Cite

Escalante Coterio, C. E., & Sánchez Zuleta, C. C. (2015). Premium of the sum from two risks dependent PQD or NQD - archimedean copulas application. Revista Ingenierías Universidad De Medellín, 13(25), 151–176. https://doi.org/10.22395/rium.v13n25a10

Issue

Vol. 13 No. 25 (2014)

Section

Articles

License

The total or partial reproduction of the contents of the journal for educational, research, or academic purposes is authorized as long as the source is cited. For reproduction for other purposes, express authorization from the Sello Editorial Universidad de Medellín is required.